Measuring systemic liquidity risk and the cost of liquidity insurance / Tiago Severo.

I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several asset classes between 2004 and 2010. Then I test whether the equity returns of 53 global banks were exposed to this liquidity risk factor. Results show that the level of bank returns...

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Bibliographic Details
Main Author: Severo, Tiago, (Author)
Corporate Author: International Monetary Fund. Monetary and Capital Markets Department.
Format: Book
Published: [Washington, D.C.] : International Monetary Fund, 2012.
Series:IMF working paper ; WP/12/194.
Online Access:CONNECT